vuong.test {unitquantreg} | R Documentation |
Vuong test
Description
Performs Vuong test between two fitted objects of class
unitquantreg
Usage
vuong.test(object1, object2, alternative = c("two.sided", "less", "greater"))
Arguments
object1 , object2 |
objects of class |
alternative |
indicates the alternative hypothesis and must be one
of |
Details
The statistic of Vuong likelihood ratio test for compare two non-nested regression models is defined by
where
is an estimator for the variance of
,
and
are the corresponding rival densities evaluated at the maximum likelihood estimates.
When we have that
in distribution.
Therefore, at
level of significance the null hypothesis of
the equivalence of the competing models is rejected if
,
where
is the
quantile of standard normal distribution.
In practical terms,
is better (worse) than
if
(or
).
Value
A list with class "htest"
containing the following
components:
statistic |
the value of the test statistic. |
p.value |
the p-value of the test. |
alternative |
a character string describing the alternative hypothesis. |
method |
a character string with the method used. |
data.name |
a character string ginven the name of families models under comparison. |
Author(s)
André F. B. Menezes
Josmar Mazucheli
References
Vuong, Q. (1989). Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica, 57(2), 307–333.
Examples
data(sim_bounded, package = "unitquantreg")
sim_bounded_curr <- sim_bounded[sim_bounded$family == "uweibull", ]
fit_uweibull <- unitquantreg(formula = y1 ~ x, tau = 0.5,
data = sim_bounded_curr,
family = "uweibull")
fit_kum <- unitquantreg(formula = y1 ~ x, tau = 0.5,
data = sim_bounded_curr,
family = "kum")
ans <- vuong.test(object1 = fit_uweibull, object2 = fit_kum)
ans
str(ans)